Make sure you’ve done your homework. This, too, is key. You need to demonstrate that you know your stuff and have good reasons for the inquiry. To give a negative example, I frequently receive requests for “botnet data”. That could mean anything. Are you interested in malware binaries, traffic captures, NetFlow data? Why, and why would you need mine? Understand the meaning and potential of the data you’re asking for, and be concrete. Understand the implications of obtaining certain datasets, such as privacy concerns, risks to others, or repeatability of the experiment.

Other tips include don’t be a jerk, make your affiliation clear, and make your purpose clear. But the first tip — don’t be shy — is the best. Just because the data isn’t online doesn’t mean the source doesn’t want to share, and it never hurts to ask.